The equity premium puzzle and decreasing relative risk aversion

Maurice John Roche ()

Applied Financial Economics Letters, 2006, vol. 2, issue 3, pages 179-182

Abstract: Agents are assumed to have a power risk aversion utility function in an otherwise standard asset-pricing model. When these preferences display decreasing relative risk aversion they are capable of eliminating one version of the equity premium and risk free rate puzzles.

View list of references View citations in EconPapers

Downloads: (external link)
http://taylorandfran ... &id=LH387116P7325511 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: The equity premium puzzle and decreasing relative risk aversion (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Ordering information: This journal article can be ordered from
http://www.tandf.co. ... /titles/17446546.asp

Access Statistics for this article

Applied Financial Economics Letters is edited by Mark Taylor

More articles in Applied Financial Economics Letters from Taylor and Francis Journals
Series data maintained by Christopher F. Baum ().